Adam Gajtkowski
Apr 13, 2021

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This blog shows how one can implement a simple strategy using mean-reversion property. Seasonality analysis, accounting for shocks, volatility modelling, and backtesting results are outside scope. Again, I encourage you to familiarise yourself with the above-mentioned textbook if you want to get the full overview of time-series modelling.

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Adam Gajtkowski

Data Scientist. Holding degrees in economics, econometrics, and statistics. Employed in news industry.